\n| \n Earnings attributable to common stockholders<\/span><\/b><\/p>\n<\/td>\n | \n Earnings<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Per
\n
weighted
\n
average
\n
basic
\n
common
\n
share<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Annualized
\n
return on
\n
average
\n
common
\n
equity<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Earnings<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Per
\n
weighted
\n
average
\n
basic
\n
common
\n
share<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Annualized
\n
return on
\n
average
\n
common
\n
equity<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \nComprehensive Income (Loss)\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n64,931\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n0.62\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n16.8\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(1,620\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(0.03\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(0.4\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGAAP Net (Loss) Income\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(92,241\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(0.89\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(23.8\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n264,945\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n2.54\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n70.6\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEarnings Available for Distribution(1)<\/sup><\/p>\n<\/td>\n| \n \n$\n<\/p>\n<\/td>\n | \n \n25,092\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n0.24\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n21,181\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n0.20\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.6\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Operating Metrics<\/span><\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDividend per common share\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n0.45\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n0.45\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAnnualized dividend yield(2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n13.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n15.2\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nBook value per common share at period end\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n14.66\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n14.47\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEconomic return on book value(3)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.4\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOperating expenses, excluding non-cash LTIP amortization and certain operating expenses(4)<\/sup><\/p>\n<\/td>\n| \n \n$\n<\/p>\n<\/td>\n | \n \n40,465\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n39,236\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOperating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.4\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n_______________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nEarnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 11 for a definition of EAD and a reconciliation of GAAP to non-GAAP financial information.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(2)\n<\/p>\n<\/td>\n | | \n\n \nDividend yield is calculated based on annualizing the dividends declared in the given period, divided by the closing share price as of the end of the period.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(3)\n<\/p>\n<\/td>\n | | \n\n \nEconomic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by the common book value as of the beginning of the period.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(4)\n<\/p>\n<\/td>\n | | \n\n \nExcludes non-cash equity compensation expense of $6.5 million for the first quarter of 2025 and $1.6 million for the fourth quarter of 2024 and certain operating expenses of $106 thousand for the first quarter of 2025 and $39 thousand for the fourth quarter of 2024. Certain operating expenses predominantly consists of expenses incurred in connection with the company\u2019s ongoing litigation with PRCM Advisers LLC.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n Portfolio Summary<\/i><\/b><\/p>\n \nAs of March 31, 2025, the company\u2019s portfolio was comprised of $11.6 billion of Agency RMBS, MSR and other investment securities as well as their associated notional debt hedges. Additionally, the company held $3.0 billion bond equivalent value of net long to-be-announced securities (TBAs).\n<\/p>\n \nThe following tables summarize the company\u2019s investment portfolio as of March 31, 2025 and December 31, 2024:\n<\/p>\n \n\n| \n Investment Portfolio<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Portfolio Composition<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency RMBS\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n8,627,708\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n74.4\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n7,376,965\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n71.1\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage servicing rights(1)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,959,773\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n25.6\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,994,271\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n28.9\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,613\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,734\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAggregate Portfolio\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n11,591,094\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n10,374,970\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet TBA position(2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,001,064\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4,468,904\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal Portfolio\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n14,592,158\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n14,843,874\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n________________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nBased on the prior month-end\u2019s principal balance of the loans underlying the company\u2019s MSR, increased for current month purchases.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(2)\n<\/p>\n<\/td>\n | | \n\n \nRepresents bond equivalent value of TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n Portfolio Metrics Specific to Agency RMBS<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average cost basis(1)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n101.50\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n101.17\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average experienced three-month CPR\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.0\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGross weighted average coupon rate\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.1\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.7\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average loan age (months)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n28\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n36\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n______________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nWeighted average cost basis includes Agency principal and interest RMBS only and utilizes carrying value for weighting purposes.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n Portfolio Metrics Specific to MSR(1)<\/sup><\/b><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnpaid principal balance\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n196,773,345\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n200,317,008\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGross coupon rate\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3.5\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCurrent loan size\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n330\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n331\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOriginal FICO(2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n760\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n760\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOriginal LTV\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n72\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n72\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n60+ day delinquencies\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n0.8\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n0.9\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet servicing fee\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n25.3 basis points\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n25.3 basis points\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended
\n
March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended
\n
December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nFair value (losses) gains\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(36,221\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n82,520\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nServicing income\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n146,870\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n157,475\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nServicing costs\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n3,302\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n3,965\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nChange in servicing reserves\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(105\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n610\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n________________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nMetrics exclude residential mortgage loans in securitization trusts for which the company is the named servicing administrator. Portfolio metrics, other than UPB, represent averages weighted by UPB.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(2)\n<\/p>\n<\/td>\n | | \n\n \nFICO represents a mortgage industry accepted credit score of a borrower.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n Other Investments and Risk Management Metrics<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet long TBA notional(1)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n3,070,552\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n4,497,800\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nFutures notional\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(2,930,590\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(3,973,400\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nInterest rate swaps notional\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n14,755,568\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n16,594,467\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n________________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nAccounted for as derivative instruments in accordance with GAAP.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n Financing Summary<\/i><\/b><\/p>\n \nThe following tables summarize the company\u2019s financing metrics and outstanding repurchase agreements, revolving credit facilities, warehouse facilities and convertible senior notes as of March 31, 2025 and December 31, 2024:\n<\/p>\n \n\n| \n March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Balance<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Weighted
\n
Average
\n
Borrowing Rate<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Weighted
\n
Average Months
\n
to Maturity<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Number of
\n
Distinct
\n
Counterparties<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands, unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements collateralized by securities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n8,970,830\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.50\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2.23\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n18\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements collateralized by MSR\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n770,000\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.38\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n13.88\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal repurchase agreements\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n9,740,830\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.73\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3.16\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n19\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRevolving credit facilities collateralized by MSR and related servicing advance obligations\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n933,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.45\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n15.91\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWarehouse facilities collateralized by mortgage loans\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7,971\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.36\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2.50\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnsecured convertible senior notes\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,591\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.25\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n9.53\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \nn\/a\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total borrowings<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n10,942,563\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n December 31, 2024<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Balance<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Weighted
\n
Average
\n
Borrowing Rate<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Weighted
\n
Average Months
\n
to Maturity<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Number of
\n
Distinct
\n
Counterparties<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands, unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements collateralized by securities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n7,050,057\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.90\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1.60\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n18\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements collateralized by MSR\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n755,000\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.44\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n17.10\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal repurchase agreements\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7,805,057\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.15\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3.10\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n19\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRevolving credit facilities collateralized by MSR and related servicing advance obligations\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,020,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.56\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n18.84\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWarehouse facilities collateralized by mortgage loans\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,032\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.64\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2.86\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnsecured convertible senior notes\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,229\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.25\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n12.49\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \nn\/a\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total borrowings<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n9,087,489\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n Borrowings by Collateral Type<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n As of December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency RMBS\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n8,970,635\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n7,049,850\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage servicing rights and related servicing advance obligations\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,703,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,775,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther – secured\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n8,166\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,239\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther – unsecured(1)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,591\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,229\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n10,942,563\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n9,087,489\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBA cost basis\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,001,672\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4,493,055\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet payable (receivable) for unsettled RMBS\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(643,896\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n269,370\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal, including TBAs and net payable (receivable) for unsettled RMBS\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n13,300,339\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n13,849,914\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDebt-to-equity ratio at period-end(2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.1 :1.0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.3 :1.0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEconomic debt-to-equity ratio at period-end(3)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.2 :1.0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.5 :1.0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Cost of Financing by Collateral Type(4)<\/sup><\/b><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended
\n
March 31, 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended
\n
December 31, 2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency RMBS\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.62\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.14\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage servicing rights and related servicing advance obligations(5)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7.81\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n8.34\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther – secured\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.93\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n8.13\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther – unsecured(1)(5)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.84\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6.93\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAnnualized cost of financing\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.27\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5.79\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nInterest rate swaps(6)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(0.18\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(0.34\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nU.S. Treasury futures(7)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(0.04\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(0.17\n<\/p>\n<\/td>\n | \n \n)%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBAs(8)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2.89\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3.67\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAnnualized cost of financing, including swaps, U.S. Treasury futures and TBAs\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.49\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4.58\n<\/p>\n<\/td>\n | \n \n%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n____________________\n<\/p>\n \n\n| \n \n(1)\n<\/p>\n<\/td>\n | | \n\n \nUnsecured convertible senior notes.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(2)\n<\/p>\n<\/td>\n | | \n\n \nDefined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, divided by total equity.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(3)\n<\/p>\n<\/td>\n | | \n\n \nDefined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(4)\n<\/p>\n<\/td>\n | | \n\n \nExcludes any repurchase agreements collateralized by U.S. Treasuries.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(5)\n<\/p>\n<\/td>\n | | \n\n \nIncludes amortization of debt issuance costs.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(6)\n<\/p>\n<\/td>\n | | \n\n \nThe cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company\u2019s outstanding borrowings includes interest spread income\/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements and is calculated using average borrowings balance as the denominator.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(7)\n<\/p>\n<\/td>\n | | \n\n \nThe cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company\u2019s outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(8)\n<\/p>\n<\/td>\n | | \n\n \nThe implied financing benefit\/cost of dollar roll income on TBAs is calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n Conference Call<\/b><\/p>\n \nTWO will host a conference call on April 29, 2025 at 9:00 a.m. ET to discuss its first quarter 2025 financial results and related information. To participate in the teleconference, please call toll-free (888) 394-8218 approximately 10 minutes prior to the above start time and provide the Conference Code 5182687. The conference call will also be webcast live and accessible online in the News & Events section of the company\u2019s website at www.twoinv.com<\/a>. For those unable to attend, a replay of the webcast will be available on the company\u2019s website approximately four hours after the live call ends.\n<\/p>\nAbout TWO<\/b><\/p>\n \nTwo Harbors Investment Corp., or TWO, a Maryland corporation, is a real estate investment trust that invests in mortgage servicing rights, residential mortgage-backed securities, and other financial assets. TWO is headquartered in St. Louis Park, MN.\n<\/p>\n Forward-Looking Statements<\/b><\/p>\n \nThis release includes \u201cforward-looking statements\u201d within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as \u201cexpect,\u201d \u201ctarget,\u201d \u201cassume,\u201d \u201cestimate,\u201d \u201cproject,\u201d \u201cbudget,\u201d \u201cforecast,\u201d \u201canticipate,\u201d \u201cintend,\u201d \u201cplan,\u201d \u201cmay,\u201d \u201cwill,\u201d \u201ccould,\u201d \u201cshould,\u201d \u201cbelieve,\u201d \u201cpredicts,\u201d \u201cpotential,\u201d \u201ccontinue,\u201d and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended December 31, 2024, and any subsequent Quarterly Reports on Form 10-Q, under the caption \u201cRisk Factors.\u201d Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery on the mortgages underlying our target assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; the availability and cost of financing; changes in the competitive landscape within our industry; our ability to effectively execute and to realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; our decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation related to such termination; our ability to manage various operational risks and costs associated with our business, including the risks associated with operating a mortgage loan servicer and originator; interruptions in or impairments to our communications and information technology systems; our ability to acquire MSR and to maintain our MSR portfolio; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940.\n<\/p>\n \nReaders are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. TWO does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in TWO\u2019s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning TWO or matters attributable to TWO or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.\n<\/p>\n Non-GAAP Financial Measures<\/b><\/p>\n \nIn addition to disclosing financial results calculated in accordance with United States generally accepted accounting principles (GAAP), this press release and the accompanying investor presentation present non-GAAP financial measures, such as earnings available for distribution and related per basic common share measures. The non-GAAP financial measures presented by the company provide supplemental information to assist investors in analyzing the company\u2019s results of operations and help facilitate comparisons to industry peers. However, because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. The company\u2019s GAAP financial results and the reconciliations from these results should be carefully evaluated. See the GAAP to non-GAAP reconciliation table on page 11 of this release.\n<\/p>\n Additional Information<\/b><\/p>\n \nStockholders of TWO and other interested persons may find additional information regarding the company at www.twoinv.com<\/a>, at the Securities and Exchange Commission\u2019s internet site at www.sec.gov<\/a> or by directing requests to: TWO, Attn: Investor Relations, 1601 Utica Avenue South, Suite 900, St. Louis Park, MN, 55416, (612) 453-4100.\n<\/p>\n \n\n| \n TWO HARBORS INVESTMENT CORP.<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n CONSOLIDATED BALANCE SHEETS<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands, except share data)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n March 31,
\n<\/b>
2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n December 31,
\n
2024<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n ASSETS<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAvailable-for-sale securities, at fair value (amortized cost $8,773,987 and $7,697,027, respectively; allowance for credit losses $2,680 and $2,866, respectively)\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n8,606,870\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n7,371,711\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage servicing rights, at fair value\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,959,773\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,994,271\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage loans held-for-sale\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n8,406\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,334\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCash and cash equivalents\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n573,882\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n504,613\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRestricted cash\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n123,843\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n313,028\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccrued interest receivable\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n39,277\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n33,331\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDue from counterparties\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n920,391\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n386,464\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDerivative assets, at fair value\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n27,550\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n10,114\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nReverse repurchase agreements\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n227,818\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n355,975\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther assets\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n195,503\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n232,478\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total Assets<\/b><\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n13,683,313\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n12,204,319\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n LIABILITIES AND STOCKHOLDERS\u2019 EQUITY<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Liabilities:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n9,740,830\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n7,805,057\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRevolving credit facilities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n933,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,020,171\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWarehouse facilities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7,971\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,032\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nConvertible senior notes\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,591\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n260,229\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDerivative liabilities, at fair value\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,097\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n24,897\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDue to counterparties\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n289,457\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n648,643\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDividends payable\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n60,402\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n58,725\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccrued interest payable\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n75,354\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n85,994\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther liabilities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n165,651\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n176,062\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total Liabilities<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n11,536,524\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n10,081,810\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Stockholders\u2019 Equity:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock, par value $0.01 per share; 100,000,000 shares authorized and 24,870,817 shares issued and outstanding ($621,770 liquidation preference)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n601,467\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n601,467\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCommon stock, par value $0.01 per share; 175,000,000 shares authorized and 104,025,096 and 103,680,321 shares issued and outstanding, respectively\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,040\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,037\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAdditional paid-in capital\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5,943,211\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n5,936,609\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccumulated other comprehensive loss\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(163,352\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(320,524\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCumulative earnings\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,569,730\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,648,785\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCumulative distributions to stockholders\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(5,805,307\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(5,744,865\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total Stockholders\u2019 Equity<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,146,789\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n2,122,509\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total Liabilities and Stockholders\u2019 Equity<\/b><\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n13,683,313\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n12,204,319\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n TWO HARBORS INVESTMENT CORP.<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands, except share data)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Certain prior period amounts have been reclassified to conform to the current period presentation<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n March 31,<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n 2024<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net interest income (expense):<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nInterest income\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n111,382\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n117,783\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nInterest expense\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n131,714\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n160,000\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest expense\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(20,332\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(42,217\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net servicing income:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nServicing income\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n156,859\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n166,333\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nServicing costs\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n3,197\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n7,119\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net servicing income<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n153,662\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n159,214\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Other (loss) income:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nLoss on investment securities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(32,729\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(10,975\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(Loss) gain on servicing asset\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(36,221\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n11,012\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(Loss) gain on interest rate swap and swaption agreements\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(98,788\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n98,510\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGain on other derivative instruments\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1,448\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n47,599\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGain (loss) on mortgage loans held-for-sale\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n669\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(3\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther income\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n761\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal other (loss) income\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(164,860\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n146,143\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Expenses:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCompensation and benefits\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n26,589\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n26,529\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther operating expenses\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n20,505\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n21,052\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal expenses\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n47,094\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n47,581\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n (Loss) income before income taxes<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(78,624\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n215,559\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nProvision for income taxes\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n431\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n11,971\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net (loss) income<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(79,055\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n203,588\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDividends on preferred stock\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(13,186\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(11,784\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGain on repurchase and retirement of preferred stock\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n644\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net (loss) income attributable to common stockholders<\/b><\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(92,241\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n192,448\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nBasic (loss) earnings per weighted average common share\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(0.89\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n1.85\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDiluted (loss) earnings per weighted average common share\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(0.89\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n1.73\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Comprehensive income:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Net (loss) income<\/b><\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(79,055\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n203,588\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Other comprehensive income (loss):<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnrealized gain (loss) on available-for-sale securities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n157,172\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(103,078\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther comprehensive income (loss)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n157,172\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(103,078\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Comprehensive income<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n78,117\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n100,510\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDividends on preferred stock\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(13,186\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(11,784\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGain on repurchase and retirement of preferred stock\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n644\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Comprehensive income attributable to common stockholders<\/b><\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n64,931\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n89,370\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n TWO HARBORS INVESTMENT CORP.<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n INTEREST INCOME AND INTEREST EXPENSE<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n(dollars in thousands, except share data)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n Three Months Ended<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n March 31,<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n 2025<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n 2024<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n(unaudited)\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Interest income:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAvailable-for-sale securities\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n100,418\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n100,605\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage loans held-for-sale\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n53\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n1\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n10,911\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n17,177\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal interest income\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n111,382\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n117,783\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n Interest expense:<\/b><\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n107,078\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n118,716\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRevolving credit facilities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n20,126\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n30,247\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWarehouse facilities\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n55\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTerm notes payable\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u2014\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n6,418\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nConvertible senior notes\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4,455\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n4,619\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal interest expense\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n131,714\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n160,000\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest expense\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(20,332\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n | \n \n\u00a0\n<\/p>\n<\/td>\n | \n \n$\n<\/p>\n<\/td>\n | \n \n(42,217\n<\/p>\n<\/td>\n | \n \n)\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n TWO HARBORS INVESTMENT CORP.<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION<\/b><\/p>\n<\/td>\n<\/tr>\n\n | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |